Confidence intervals for quantiles and value-at-risk when applying importance sampling.

Fang Chu Marvin K. Nakayama

Published in: WSC (2010)

Keyphrases

importance sampling
confidence intervals
monte carlo
markov chain
variance reduction
particle filter
sample size
kalman filter
data distribution
particle filtering
test set
markov chain monte carlo
machine learning
information retrieval
bayesian networks
state space